Thank you cem365lh!

This solved my problem. Thank you. Thank you. Thank you!
I had assumed that it had hanged; but really, the various options were waiting for me to hit Alt-S.
Yes, there was one screen (I forget which) where I also had to hit the Enter key to get it to activate.
One last note, to anyone else that might read this: after doing the setup, I did have to hit the Escape key as many times as I could, to get back to the initial screen. Only then did Linhes start up the MythTV backend. I am running the MythTV frontend on a different machine, and was confused as to why I kept getting a "Could not connect to backend" message. Once I escaped out to the initial screen, messages started dropping down from the top that the backend was being restarted, and the program guide data was being downloaded. Then my frontend could connect just fine.